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Table 1:Empirically obtained runtime per MCMC iteration on a single i5-5300U CPU(2.30GHz) core running Xubuntu Linux 16.04 using R 3.3.3 linked against the default lin-ear algebra packages as well as Intel MKL (single thread).Measured in milliseconds form ∈ {10, 100, 500} dimensional time series of length T = 1000.
Figure 1: Kernel density estimates of posterior factor loadings under different priors
Figure 2: “True” (gray, solid) and estimated posterior correlations between series 1 and series 2(top) as well as series 9 and series 10 (bottom)
Table 2: Estimated log Bayes factors at t = 1500 against the 2-factor model using a standardGaussian prior, where data up to t = 1000 is treated as the training sample
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Quantitative Finance authors titles recent submissions

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Quantitative Finance authors titles recent submissions

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